The Impact of Monetary Policy Shocks on Commodity Prices

29 Pages Posted: 8 Aug 2010

See all articles by Alessio Anzuini

Alessio Anzuini

Bank of Italy

Marco J. Lombardi

Bank for International Settlements (BIS) - Monetary and Economic Department

Patrizio Pagano

Bank of Italy

Multiple version iconThere are 3 versions of this paper

Date Written: July 20, 2010

Abstract

Global monetary conditions have often been cited as a driving factor of commodity prices. This paper investigates the empirical relationship between US monetary policy and commodity prices by means of a standard VAR system, commonly used in analysing the effects of monetary policy shocks. The results suggest that expansionary US monetary policy shocks drove up the broad commodity price index and all of its components. While these effects are significant, they however do not appear to be overwhelmingly large. This finding is also confirmed under different identification strategies for the monetary policy shock.

Keywords: Monetary policy Shock, Oil Price, VAR

JEL Classification: E31, E40, C32

Suggested Citation

Anzuini, Alessio and Lombardi, Marco Jacopo and Pagano, Patrizio, The Impact of Monetary Policy Shocks on Commodity Prices (July 20, 2010). ECB Working Paper No. 1232. Available at SSRN: https://ssrn.com/abstract=1650595

Alessio Anzuini (Contact Author)

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

Marco Jacopo Lombardi

Bank for International Settlements (BIS) - Monetary and Economic Department ( email )

Centralbahnplatz 2
CH-4002 Basel
Switzerland
+41612809492 (Phone)

Patrizio Pagano

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

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